On filtering in Markovian term structure models: an approximation approach (Q4330064)
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scientific article; zbMATH DE number 1741738
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| English | On filtering in Markovian term structure models: an approximation approach |
scientific article; zbMATH DE number 1741738 |
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On filtering in Markovian term structure models: an approximation approach (English)
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2001
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filter approximations
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heath-Jarrow-Morton model, market price of interest rate risk, Markovian representations
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0.8640671968460083
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0.8524468541145325
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0.8392477631568909
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0.8184477090835571
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